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Multivariate Distribution Theory - STA4802

Honours Year module NQF level: 8 Credits: 12
Module presented in English Module presented online
Co-requisite: STA4801
Purpose: About this module: Matrix notation and theory are used extensively; therefore STA4801 is one of the prerequisite modules. It is expected that the student is familiar with basic distributions such as the normal, gamma, beta, t, and F and with concepts of jointly distributed random variables, marginal distributions, moments, conditional distributions, and independence as well as characteristic functions.Abbreviated contents The basic central distribution and building block in classical multivariate analysis is the multivariate normal distribution. The student will be introduced to the multivariate normal distribution and its properties, as well as spherical and elliptical distributions. The Jacobean of transformations are also included. The Wishart and multivariate beta distributions are covered in the study material.